This happens in Internet Explorer if you click in an empty space before inserting the link. When linking anything, make sure not to click any empty spaces in the page.
As of version 2.3.4, Linkr automatically opens in popup mode in Internet Explorer, which prevents this problem form happening.
Linkr 2.3.6 (8 October 2009) has been released. Amongst other things, the bug where articles with no menu links were sometimes given the wrong Itemid has been fixed.